Bid-ask bounce
Bid-ask bounce is the alternation of trade prices between the bid and the ask while the quotes themselves do not change. It makes the last traded price move by one spread back and forth with no change in the market's value, which creates apparent volatility, negative autocorrelation of price changes and bars that form without any real movement.
Senzoukria · Glossary · Updated September 2026
How it happens
With 5,000.00 bid and 5,000.25 offered, a market buy prints at 5,000.25 and a market sell at 5,000.00. If buyers and sellers alternate for twenty seconds while the quotes stay put, the last price moves one tick up and down twenty times. The mid-price, 5,000.125, has not moved at all. Nothing about supply and demand changed; only the side of the aggressor did.
What it distorts
- Charts built on the last price: a one-tick range bar or a small tick bar can complete several times while the quotes never change.
- Volatility measured on very short intervals, which is inflated by the bounce; this is part of what is called microstructure noise.
- Stops placed one tick beyond the current price, which the bounce alone can trigger.
- Autocorrelation of price changes, which turns negative; Roll's spread estimator is built on exactly this effect.
What it looks like on a footprint
Bounce builds volume on two adjacent prices: sells printed at the lower one, the bid, and buys printed at the upper one, the ask. The delta of the bar depends on which side was more active, not on any price movement. A bar with a range of one tick and heavy volume on both prices is the footprint of a market bouncing inside a stable spread.
Reading through the bounce
- Watch the quotes rather than the last trade: a move of the best bid or the best ask is a change, a print alternating between them is not.
- Use a mid-price or a size-weighted price such as the micro-price when a single reference is needed.
- Set range or tick bar sizes well above the spread, so that a bar requires the market to move rather than to bounce.
In Senzoukria
The Microstructure overlay draws the Stoikov micro-price, which moves when the sizes at the best bid and ask change, not when trades alternate between them, and the heatmap can draw the best bid and ask lines themselves. Roll Implied Spread in the Quantitative group turns the bounce into a spread estimate. Range bars and tick bars are available as bar types, with the size of the bar chosen by the user.
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Frequently asked questions
- Is bid-ask bounce a sign of indecision in the market?
- Not necessarily. It shows that aggressive buyers and sellers are both active at the current quotes, which is normal two-sided trading. Whether it means anything depends on the sizes involved and on whether the quotes eventually move.
- Why do my one-tick range bars form so often in a quiet market?
- Because the last price alternates between bid and ask as the aggressor changes. Each alternation is a one-tick price change for a chart built on trades, even though the quotes have not moved. Larger range settings require a real change in the quotes to complete a bar.